Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0215 |
| Annualized Std Dev | 0.1892 |
| Annualized Sharpe (Rf=0%) | -0.1139 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4441.0000 |
| NAs | 1.0000 |
| Minimum | -0.1430 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0043 |
| Maximum | 0.1876 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0119 |
| Skewness | 0.3205 |
| Kurtosis | 39.8739 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0086 |
| Downside Deviation (0%) | 0.0086 |
| Maximum Drawdown | 0.6609 |
| Historical VaR (95%) | -0.0146 |
| Historical ES (95%) | -0.0287 |
| Modified VaR (95%) | -0.0089 |
| Modified ES (95%) | -0.0089 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-01-08 | 2008-11-21 | NA | -0.6609 | 4330 | 1229 | NA |
| 2003-08-04 | 2003-09-24 | 2003-11-12 | -0.0453 | 72 | 37 | 35 |
| 2003-11-13 | 2003-11-21 | 2003-12-03 | -0.0193 | 14 | 7 | 7 |
| 2003-12-05 | 2003-12-18 | 2003-12-26 | -0.0144 | 15 | 10 | 5 |
| 2003-12-31 | 2004-01-02 | 2004-01-06 | -0.0085 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | 0.1 | 0 | 1 | 0.3 | 0.3 | -0.8 | 0.8 |
| 2004 | 0.7 | 0 | 0.3 | -1.6 | -0.2 | 1.6 | 1.2 | 0 | -0.1 | 0.7 | 0.3 | 0.3 | 3.2 |
| 2005 | 0.4 | 0.1 | 1.3 | -0.2 | 0.5 | -0.2 | -0.5 | -0.2 | 0.5 | 0.6 | 0.2 | 3.8 | 6.6 |
| 2006 | 0.2 | -0.2 | 0.2 | -0.1 | 0.6 | 0.6 | 0 | -0.3 | -0.2 | 0.2 | 0.3 | -1.5 | -0.2 |
| 2007 | 0.9 | -0.4 | -1.3 | -0.1 | 0.6 | 0.1 | -0.9 | 0.6 | 0.4 | -0.4 | 1 | 0.9 | 1.3 |
| 2008 | 0.1 | -1.8 | 1.3 | 0.6 | 0.5 | -0.3 | 2.1 | 0 | 5.5 | -0.4 | -4.9 | 0.3 | 2.6 |
| 2009 | 0 | -3.9 | -0.4 | 1.2 | 0.2 | 1.4 | 0.6 | -0.2 | -1.3 | -2.9 | 1 | -0.2 | -4.5 |
| 2010 | 1.4 | 0 | 0.1 | 0.3 | -0.5 | -0.7 | 0.4 | -0.7 | 0.2 | 0.3 | 1.5 | 0.5 | 2.8 |
| 2011 | 0.6 | -1.3 | -0.2 | 0.4 | -0.1 | 0.2 | 2.3 | 1.1 | -2.2 | -1.4 | 1.4 | 0.6 | 1.5 |
| 2012 | 1.2 | -0.4 | 0.8 | 0.4 | -0.8 | 1.2 | 0.3 | 0.4 | 0.2 | 0.7 | 0.2 | 0.3 | 4.6 |
| 2013 | -0.4 | -0.1 | -0.1 | 0.2 | -0.7 | 0.7 | -0.8 | 0.2 | -0.1 | -0.6 | 0.4 | -0.5 | -1.8 |
| 2014 | 0 | -0.2 | 0.4 | 0 | 0.1 | -0.2 | -0.6 | 0.2 | 0.2 | 0.2 | -0.2 | 0.9 | 0.9 |
| 2015 | -0.1 | 0.3 | -0.1 | 0.1 | 0.4 | 0.3 | 0.1 | 0.1 | -0.8 | 0.3 | 0.6 | 0.6 | 1.7 |
| 2016 | 0.2 | 1.6 | -0.3 | 0 | 0.3 | 0.8 | -0.5 | -0.7 | 0.2 | -1 | -1.3 | 0.6 | -0.1 |
| 2017 | 0.2 | 0.3 | -0.1 | 0 | 0.7 | 0.4 | 0.3 | 0.4 | 0 | 0 | 0.2 | 0.2 | 2.6 |
| 2018 | 0.7 | 0.1 | 0.2 | 0.1 | 0.9 | -0.5 | 0 | 0.4 | 0.7 | 1 | -1.2 | 0.2 | 2.7 |
| 2019 | 0.5 | -0.4 | 1.7 | 0.5 | -0.7 | 0 | 0 | -0.7 | 0.3 | 0.2 | 0.3 | 0.6 | 2.3 |
| 2020 | -0.5 | -1.2 | -1.9 | -1.1 | 0.3 | 0.6 | 0.1 | 1 | -0.3 | 0 | 1.4 | -1 | -2.5 |
| 2021 | 1.9 | 1.4 | -1.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
